Discussion

The number of threads doesn't necessarily influence the speed of the download.

If the server has a per-connection speed limit, it may be possible to work around that by opening multiple connection at the same time (which doesn't require using more that one thread) to request different parts of the downloaded resource in parallel, but it will only work if the server supports range requests.

Many download managers already support this.

Modifying Privoxy to do that would certainly be possible and patches are always welcome.

Many app store, apple's iTunes store, sony's PSN and etc, can only use they own application to download (I think). So the other managers don't work.

And these store should have a large group servers, or they use CDN like Akamai. Many server should have the same file.
I think they should not have the speed limit. But I don't know whether these servers support range requests.

I think this feature would help to improved the web browsing also. It should be faster.